V-Lab
Taiwan Semiconductor Mfg Co APARCH Volatility Analysis
Volatility prediction for Tuesday, September 8th, 2026
1 Day
28.31%
1 Week
28.51%
1 Month
29.27%
Analysis last updated: Tuesday, September 8, 2026 at 09:50 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 18, 1995 to Sep 4, 2026Model Insight
With persistence 0.991, volatility shocks have a half-life of 80 trading days (~0.3 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. The volatility power δ = 1.50 sits below 2, so large shocks influence volatility less than quadratically, a more outlier-robust response than standard GARCH.
Leverage: Negative returns increase volatility 71% more than positive returns
APARCH Model
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| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0335 | 4.05*** |
| αARCH | 0.0658 | 9.44*** |
| βGARCH | 0.9340 | 146.95*** |
| γleverage | 0.1764 | 2.64*** |
| δpower | 1.5046 | 7.20*** |
0.991
Persistence80d
Half-lifeAPARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0335 | 4.05*** |
α ARCH Response to squared shocks | 0.0658 | 9.44*** |
β GARCH Volatility persistence | 0.9340 | 146.95*** |
γ leverage Additional response to negative shocks | 0.1764 | 2.64*** |
δ power Transformation power | 1.5046 | 7.20*** |
Persistence:
0.991
Half-life:
80 days
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